protected Quote ConvertAndFlushQuote(SpiderQuote originalQuote) { DataManager.Add(this.Instrument, originalQuote.DateTime, originalQuote.Bid, originalQuote.BidSize, originalQuote.Ask, originalQuote.AskSize); DataManager.Flush(); var convertedAndAddedQuote = DataManager.GetHistoricalQuotes(this.Instrument, originalQuote.DateTime.AddMinutes(-20 * ExecutionTimePeriod), originalQuote.DateTime).Last; return convertedAndAddedQuote; }
private bool ValidateQuote(SpiderQuote quote) { return (quote.Bid > 0 && quote.Ask > 0 && quote.AskSize > 0 && quote.BidSize > 0); }
private SpiderQuote ConvertQuote(OpenQuant.API.Quote originalQuote) { SpiderQuote spiderQuote = new SpiderQuote() { DateTime = originalQuote.DateTime, Ask = originalQuote.Ask, Bid = originalQuote.Bid, AskSize = originalQuote.AskSize, BidSize = originalQuote.BidSize }; return spiderQuote; }